Transcript PPT

Backcasting Time
Series
During 2008 SNA / ANZSIC 06
Implementation
Michael Davies,
Division Head,
Macroeconomic Statistics Division,
Australian Bureau of Statistics
September 2014
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2008 SNA / ANZSIC 06
backcasting
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Implementation of 2008 SNA and ANZSIC 06
– a fundamental reworking of the Australian
National Accounts
Annual benchmark series backcast from
1994-95 to 2007-08
Annual series backcast from 1959-60 to
1993-94
Quarterly series backcast from September
quarter 1959 to June quarter 2009
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Challenges (1)
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The new industry classification system is
fundamentally different to the previous industry
classifications
Starting periods for national accounts series
across individual components and underlying
data sources vary significantly
Historical series are divided into two periods:
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‘Live’ compilation period – in which time series can
be recalculated in response to changes in standards
& classifications;
Maintained compilation period – in which no detailed
data available making impossible to ensure changes
in standards & classifications are represented
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Challenges (2)
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Most input data series were not available for the
full time period (only capital expenditure data
went back to 1959-60)
There was often little information available for
constructing historic estimates for new series
such as R&D
There were significant breaks and
inconsistencies between historical series and
new series
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Backcasting & Splicing Principles
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Backcasting involves removing breaks in series
between ‘live’ and ‘maintained’ periods in
national accounts
Converting growth levels of historical series into
those comparable with that for new estimates
while keeping growth rates of the former intact
The following splicing principles were adopted
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Undertaking splicing at lowest feasible level
The results should be economically plausible
No unusual seasonal variation at the splicing point
Pragmatic approach for extrapolating time series in
‘maintained’ periods in case of no historical data
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Bridging
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Bridging involves converting historical data in old
industry classifications into series in new industry
classifications
This is done using known relationships between
series in a common period (“bridging factors”) to
extrapolate time series in new industry standards
in ‘maintained’ periods
Bridging factors are calculated over several time
periods to remove influence of short-term
volatility
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Managing the backcasting
process
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Closely managing the incorporation of backcast
data into the national accounts
Using common techniques as far as possible to
help ensure the coherence of the results
Maintaining flexibility and finding the right
balance between backcasting approaches
Ensuring that the results were plausible and that
economic history, particularly quarterly growth
rates, did not change unless affected by 2008
SNA implementation (e.g. capitalisation of R&D)
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